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STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS
Author(s) -
Marshall Pablo
Publication year - 1992
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1992.tb00116.x
Subject(s) - mathematics , estimator , state (computer science) , state space , simple (philosophy) , space (punctuation) , function (biology) , square (algebra) , algorithm , statistics , geometry , computer science , philosophy , epistemology , evolutionary biology , biology , operating system
. A state space model with diffuse initial conditions is considered. A simple and direct proof of the algorithm for computing the likelihood function and minimum mean square estimators of the state is given